Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0628
Annualized Std Dev 0.1678
Annualized Sharpe (Rf=0%) 0.3743

Row

Daily Return Statistics

Close
Observations 3565.0000
NAs 1.0000
Minimum -0.1042
Quartile 1 -0.0037
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0050
Maximum 0.1081
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0106
Skewness -0.2596
Kurtosis 17.3169

Downside Risk

Close
Semi Deviation 0.0078
Gain Deviation 0.0075
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0077
Downside Deviation (0%) 0.0077
Maximum Drawdown 0.5020
Historical VaR (95%) -0.0151
Historical ES (95%) -0.0264
Modified VaR (95%) -0.0142
Modified ES (95%) -0.0142
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2012-03-13 -0.5020 1183 442 741
2020-02-18 2020-03-23 2020-12-08 -0.3653 206 25 181
2015-04-27 2016-01-20 2016-07-22 -0.1835 314 186 128
2018-09-24 2018-12-24 2019-04-02 -0.1727 131 64 67
2018-01-29 2018-02-08 2018-08-27 -0.0949 147 9 138

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.2 -0.2
2007 0.5 -0.3 0.1 -0.2 0.4 -0.1 0.5 1 1 -1.9 1.1 -0.3 1.7
2008 1.8 -2.7 1.8 0.4 1 -0.5 -1.1 -0.6 0.1 2.3 -4.3 2.7 0.7
2009 -2.3 -2.8 0.4 0.8 2.6 -0.9 0 -1 -0.8 -1.3 1.4 -0.8 -4.8
2010 0.5 0.7 0.5 -0.1 -1.1 -1.1 -0.3 1.8 0.5 0.1 1 -0.3 2.2
2011 0.7 -0.8 0.3 0 -1.5 0.9 -0.5 -0.8 -0.2 -2.4 0 -0.1 -4.3
2012 0.6 0.3 0.5 0.2 -1.8 1.5 -0.2 0.3 0 0.3 0.4 1.1 3.2
2013 0.4 0.3 -0.3 -0.6 -1.3 0.4 1.2 -0.4 0.8 0.2 0 0.1 0.8
2014 -0.2 0.6 0.2 0.1 0.1 0.2 -0.1 0.5 -0.7 0.8 -0.3 -1.1 0.1
2015 -1.6 0.1 0.3 0.6 -0.1 0.5 0.6 -2.6 0.1 0 0.5 -0.5 -2.3
2016 0.8 0.8 -0.2 -0.1 -0.2 0.2 -0.1 0 0.1 -1 -0.6 -0.6 -0.8
2017 -0.5 1.1 0.1 0.1 0.6 0.7 0.3 0 0.3 0.1 -0.3 -0.1 2.4
2018 -0.3 -1.2 1 -0.8 0.8 0 -0.3 0.4 0.2 0.6 0.5 1.1 2
2019 -0.1 0.7 0.9 -1 -0.6 0.8 -0.7 0.2 -1.1 0.4 -0.4 0.2 -0.8
2020 -1.1 -2.2 -5.1 -1.9 0 0.2 0.5 -0.2 0 -1.5 0.8 0.9 -9.4
2021 1 1.7 0.2 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-12-15  25.1 SPY    142.  1.00e-4   0.0121  0.0222    0.0832    0.123    0.323    0.265 GLD    61   -0.018    -0.0169
2 2006-12-18  25.1 SPY    142. -2.70e-3   0.0008  0.0112    0.0769    0.123    0.308    0.242 GLD    61.0  0.0007   -0.0245
3 2006-12-19  25.0 SPY    142.  1.90e-3   0.0035  0.0128    0.0733    0.131    0.296    0.237 GLD    61.8  0.0125   -0.0115
4 2006-12-20  25.1 SPY    142. -6.00e-4   0.0019  0.0117    0.0779    0.130    0.305    0.228 GLD    61.6 -0.00290  -0.0138
5 2006-12-21  25.0 SPY    142. -3.70e-3  -0.0105  0.007     0.0772    0.124    0.291    0.235 GLD    61.4 -0.0039   -0.0119
6 2006-12-22  24.9 SPY    141. -6.10e-3  -0.0112 -0.00120   0.0624    0.111    0.283    0.224 GLD    61.6  0.0044    0.0107
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart